Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 7 | 8 | 7 |
| Score | 2.23 | 4.66 | 2.42 |
| Market Cap (Millions USD) | 84 | 71.2 | 64.21 |
| Predicted Beta | 1.3 | 1.31 | 1.3 |
| Idiosyncratic Volatility | 3.68 | 4.36 | 4.48 |
Annualized return and volatility
| RTH | |
|---|---|
| Annualized Return | 0.0866 |
| Annualized Std Dev | 0.1951 |
| Annualized Sharpe (Rf=0%) | 0.4438 |
Row
Daily Return Statistics
| RTH | |
|---|---|
| Observations | 4761.0000 |
| NAs | 353.0000 |
| Minimum | -0.0773 |
| Quartile 1 | -0.0058 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1166 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | 0.3449 |
| Kurtosis | 6.4815 |
Downside Risk
| RTH | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.4191 |
| Historical VaR (95%) | -0.0188 |
| Historical ES (95%) | -0.0279 |
| Modified VaR (95%) | -0.0170 |
| Modified ES (95%) | -0.0196 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2010-04-08 | -0.4191 | 702 | 426 | 276 |
| 2002-03-21 | 2003-03-11 | 2004-11-11 | -0.3683 | 681 | 251 | 430 |
| 2001-05-23 | 2001-09-21 | 2002-02-26 | -0.2837 | 192 | 83 | 109 |
| 2018-09-13 | 2018-12-24 | 2019-07-03 | -0.2118 | 205 | 72 | 133 |
| 2010-04-27 | 2010-07-06 | 2010-12-30 | -0.1993 | 175 | 50 | 125 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | RTH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | -0.3 | 0.0 | -0.1 | 0.0 | -1.5 | 0.9 | 0.0 | 0.0 | -1.0 |
| 2002 | -1.4 | 0.7 | -1.5 | 0.0 | 0.0 | -2.1 | -3.9 | 0.0 | 2.5 | 1.1 | 0.0 | 0.0 | -4.7 |
| 2003 | 0.0 | 0.0 | 0.4 | -0.9 | 0.0 | 0.3 | -1.0 | 0.0 | 2.8 | 0.0 | 0.1 | 0.0 | 1.8 |
| 2004 | 0.0 | 1.0 | -0.9 | 0.0 | 0.1 | -1.2 | 0.0 | 0.3 | 0.8 | 0.4 | 1.4 | 0.0 | 1.9 |
| 2005 | 0.2 | 1.0 | -1.7 | 0.0 | 1.2 | 0.4 | -0.1 | -0.6 | 0.0 | -0.4 | 0.6 | 0.0 | 0.5 |
| 2006 | -0.4 | 0.4 | 0.0 | 0.7 | 0.9 | 0.0 | -1.0 | 1.0 | 0.0 | -1.6 | -0.2 | 0.0 | -0.3 |
| 2007 | 0.8 | -0.7 | 0.0 | 0.5 | 1.3 | 0.0 | 0.8 | 0.0 | -0.3 | -3.0 | 0.0 | 0.0 | -0.5 |
| 2008 | 0.6 | 0.0 | 4.5 | 2.2 | 0.0 | 0.2 | -0.8 | 0.0 | -1.3 | 0.0 | -7.1 | 0.0 | -2.1 |
| 2009 | 0.0 | 0.0 | 1.4 | -1.3 | 4.7 | -0.2 | 0.0 | -0.8 | -0.8 | 0.0 | 1.5 | 0.0 | 4.4 |
| 2010 | 0.0 | 1.1 | 0.4 | 0.0 | -0.7 | 0.7 | 0.0 | 3.2 | -0.1 | 0.0 | 1.7 | 0.0 | 6.4 |
| 2011 | 0.9 | -1.2 | 0.7 | 0.0 | -2.1 | 1.5 | -0.7 | -0.9 | 0.0 | -1.2 | 0.2 | 0.0 | -2.7 |
| 2012 | 0.2 | 0.4 | 0.0 | 0.1 | -1.9 | 0.0 | -0.8 | 0.0 | 0.2 | 0.3 | 0.0 | 0.0 | -1.5 |
| 2013 | 0.4 | 0.6 | -0.5 | -0.5 | 0.0 | 0.8 | 1.0 | 0.0 | 1.0 | 0.2 | 0.0 | 0.0 | 3.0 |
| 2014 | 0.0 | 0.0 | 0.6 | 0.1 | 0.0 | 0.9 | -0.1 | 0.0 | -1.0 | 0.0 | -1.1 | 0.0 | -0.7 |
| 2015 | 0.0 | 0.0 | -0.9 | 1.2 | 0.1 | 1.0 | 0.0 | -2.1 | 0.6 | 0.0 | 0.9 | 0.0 | 0.8 |
| 2016 | 0.5 | 2.0 | 0.7 | 0.0 | 0.2 | 0.5 | 0.2 | 0.1 | 0.0 | -1.1 | -0.3 | 0.0 | 2.7 |
| 2017 | -0.4 | 0.6 | 0.0 | 0.1 | 1.3 | 0.0 | 0.4 | 0.7 | 0.0 | 0.4 | -0.5 | 0.0 | 2.6 |
| 2018 | -1.7 | -1.0 | 0.0 | -0.6 | 0.5 | 0.0 | -0.7 | 0.0 | 0.1 | 1.9 | 0.0 | 0.0 | -1.5 |
| 2019 | -1.8 | 0.2 | 1.0 | -1.0 | 0.0 | 0.8 | -1.3 | 0.0 | -0.5 | 1.3 | 0.0 | 0.3 | -1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
